巴黎银行-新兴市场-宏观策略-巴西：市场确定了更低的大选费用-20181022-10页_1mb

报告摘要

Summary of Brazil: Markets Now Price a Smaller Premium for Elections (22 October 2018)

Core Content

This document provides an analysis of the Brazilian market's expectations regarding the outcome of the upcoming presidential election, focusing on the Brazilian Real (BRL) and its potential movements against the US Dollar (USD). The analysis is based on the BNP Paribas Exceptional Events Model, which uses FX volatility smile data to calculate the implied probability of market events.

Key Messages

Current Market Expectations:
- The market is now pricing a 69.1% probability of a 1.6% appreciation of the BRL after the second round of the election.
- There is a 30.9% probability of a 3.6% depreciation of the BRL.
Probability Density Function (PDF):
- The PDF has smaller tails compared to the last update, indicating reduced expected volatility.
- The expected move for both appreciation and depreciation events has nearly halved since the last update on 3 October 2018.
Volatility Trends:
- The ATM volatility is now lower than it was two weeks ago, with the implied volatility ranging between 20% and 16% by the end of the year.
Trading Strategy:
- The team recommends a bullish position on the BRL, suggesting a put-spread strategy.
- Current position: Buy 3.65 X 3.45 USDBRL 2m put-spread vs sell 3.99 USDBRL call.

Historical Probabilities

The document includes historical data from May 2018 to October 2018, showing how the probabilities have evolved over time. The table highlights:

Date	Forward	P	Mean P	95% Confidence (Lower)	95% Confidence (Upper)	(1-P)	Mean (1-P)	95% Confidence (Lower)	95% Confidence (Upper)
18 October 2018	3.70	69.1%	-1.6%	-4.2%	-0.4%	30.9%	3.6%	0.5%	13.5%
15 October 2018	3.74	66.7%	-2.5%	-7.0%	-0.6%	33.3%	5.1%	0.6%	20.2%
03 October 2018	3.91	69.0%	-2.7%	-5.5%	-1.2%	31.0%	6.1%	1.1%	19.5%
02 October 2018	4.02	62.0%	-3.4%	-8.8%	-0.9%	38.0%	5.5%	0.9%	18.5%
24 September 2018	4.17	56.6%	-3.5%	-10.7%	-0.7%	43.4%	4.6%	0.6%	17.2%
27 August 2018	3.89	73.2%	-2.1%	-5.8%	-0.4%	26.8%	5.7%	0.5%	23.4%
06 August 2018	3.76	68.1%	-2.9%	-6.9%	-0.7%	31.9%	6.2%	0.5%	29.3%
28 June 2018	3.90	67.9%	-2.5%	-2.9%	-2.0%	32.1%	5.4%	0.4%	23.8%
14 June 2018	3.51	71.8%	-2.3%	-7.3%	-0.3%	28.2%	5.8%	0.5%	25.5%
09 May 2018	3.65	73.1%	-1.9%	-2.2%	-1.5%	26.9%	5.2%	0.5%	22.2%

Main Views

The market is pricing in a smaller expected move for both appreciation and depreciation scenarios as the election approaches.
The team maintains a bullish view on the BRL, suggesting that the risk-reversal strategy offers an opportunity to sell high strikes.
The analysis is based on the forward jump PDF, which combines two log-normal distributions for appreciation and depreciation outcomes.
The FX volatility smile is used to determine the implied probabilities, showing a thinning of the tails as the election nears.

Additional Information

The document also recommends reviewing the Brazil: Election Tracker, produced by BNP Paribas' economics team.
It includes legal disclaimers and disclosures regarding the non-independence of the research, potential conflicts of interest, and the nature of the information provided (e.g., indicative prices, simulated performance, etc.).
The content is intended for professional clients and eligible counterparties under MiFID II, and is not suitable for all investors.
Options and ETFs mentioned are complex instruments and may not be appropriate for all investors. The document includes important disclosures about the risks and potential conflicts of interest related to these products.

Legal and Regulatory Disclosures

The report is a marketing communication and not investment research.
It may include research content under MiFID II unbundling rules, which is only available to certain firms.
BNPP may have financial interests in the securities or issuers discussed, and may engage in transactions inconsistent with the views expressed.
The document is not a prospectus and does not constitute an offer to sell or purchase any financial instruments.
No liability is accepted for any losses arising from reliance on the information contained in the document.
The information is confidential and may not be distributed without prior consent.